How can I orient my object to fall the correct way in XNA?
The obvious answer is to just rotate your object so that it's oriented as if Z is up. The less obvious part of that is applying your transforms. 

Applying transforms is often called normalization and also applies to scale and location. A normalized scale would be 1 and a normalized location would be (0,0,0). Normalized rotation is a little less simple, but essentially it means that your local coordinate system is aligned with your global coordinate system (local x,y,z point the same directions as global x,y,z).

There are two ways to make sure your object is normalized with Z up. One is to do all the rotation in edit mode. This will move the mesh, but leave the local coordinates the way they were.

The (arguably) easier way is to get your object oriented the way you want in object mode, and then (with it still selected) use ctrla and choose the selection for rotation (it'd be a good idea to use this to normalize your scale as well, but that doesn't have anything to do with your question).

In short: rotate your object so that Z is "up," and then apply the rotation.

Hope that helps!